Research Summary
The report discusses the recent market movements, focusing on the impact of the Consumer Price Index (CPI) and the potential approval of an Ethereum (ETH) Exchange-Traded Fund (ETF). It highlights the buying and selling trends of Calls and Puts, the volatility of Bitcoin (BTC) and ETH, and the influence of bearish narratives on the crypto market.
Key Takeaways
Market Reactions to CPI and JPow
- Impact of CPI and JPow: The report notes that the CPI caused a sharp upward market movement. However, Call buyers were affected when JPow hardened the line, leading to bearish narratives that pushed the crypto market lower.
Call and Put Trading Trends
- Trading Trends: The report details the unwinding of Calls and the buying of Puts. It also mentions the addition of a Dec 60k-100k risk reversal (RR) as a hedge. The report also notes the selling of Calls and buying of Puts, which dampened Call Skew and lowered Vols.
Volatility of Bitcoin and Ethereum
- Volatility Levels: The report highlights that BTC’s Dvol reached 48%, and ETH’s reached 58%. The 2-week ATM touched 42% and 52%, falling below realized.
Ethereum ETF Approval
- ETH ETF Approval: The report mentions that as US markets closed and the weekend set in, there was promising news regarding the approval of an ETH ETF, which brought the timeline closer with greater certainty. This news caused ETH to bounce back from a low of 3360.
Opportunity to Buy Calls
- Buying Calls: The report suggests that the conditions were perfect for buying Calls, with Spot on the low, short positions, Call Skew being hit, and Implied Vol depressed below Realized Vol. This led to a bounce back in short-term Vol +Dvol, as well as Spot up to 3550.
Actionable Insights
- Monitor Market Reactions: The report suggests that investors should keep a close eye on market reactions to CPI and JPow, as these can significantly impact the crypto market.
- Understand Trading Trends: Investors should understand the current trading trends, particularly the unwinding of Calls and the buying of Puts, to make informed decisions.
- Consider Volatility Levels: The report indicates that investors should consider the volatility levels of BTC and ETH when making investment decisions.
- Stay Updated on ETH ETF Approval: Investors should stay updated on the approval of the ETH ETF, as this could significantly impact the price of ETH.
- Identify Opportunities to Buy Calls: The report suggests that investors should identify opportunities to buy Calls when conditions are favorable, such as when Spot is on the low, short positions are present, Call Skew is hit, and Implied Vol is depressed below Realized Vol.
